Minimum Rate For Partially Observable Linear System with Side Information: LQG Plant and Gaussian-Markov Source

Abstract

This paper studies the minimum rate required for a partially observable linear system with side information. The Linear Quadratic Gaussian(LQG) plant and the Gaussian-Markov source are considered. We show that a class of linear policies is sufficient for optimizing the conditional directed information lower bound. We also show that the resulting optimization problem is convex for the scalar case in both time-varying and time-invariant systems. Our results generalize the past works that consider the case with full or partial observation only, and the case with full observation and side information. Numerical simulations are presented to illustrate the effect of side information for partially observable systems.